COVID crash: a study of volatility spillovers from stocks to us indexes and from us indexes to cryptocurrencies

Dissertation presented as the partial requirement for obtaining a Master's degree in Data Science and Advanced Analytics, specialization in Data Science

Bibliographic Details
Main Author: Carvalho, Pedro Maria Fragoso de Almeida (author)
Format: masterThesis
Language:eng
Published: 2022
Subjects:
volatility spillovers
cryptocurrency
index
variance decomposition
autoregression
heteroskedasticity
GARCH
conditional variance
conditional correlation
market crash
Covid-19
criptomoedas
SDG 8 - Decent work and economic growth
Online Access:http://hdl.handle.net/10362/135777
Country:Portugal
Oai:oai:run.unl.pt:10362/135777

Internet

http://hdl.handle.net/10362/135777

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